When does the market feel it? Magnitude, speed and persistence of market reactions to cross-listings

Lis Biell, Xavier Mouchette, Aline Muller

Research output: Contribution to journalArticlepeer-review

Abstract

We empirically characterize the timing dynamics of cross-listing valuation effects for 643 cross-listings events towards five major host exchanges. We use flexible event windows to investigate how and when prices adjust to cross-listing. Reactions start before the cross-listing date in 79% of the cases, and finish before this date in 64%. Averaging 62 days, the reaction shortens for large firms and firms with lower diversification potential for international investors. The time span to revert to stable state beyond the initial reaction averages 213 days, but is reduced for more frequently traded firms and cross-listings on a US stock exchange.
Original languageEnglish
Article number101270
JournalFinance Research Letters
Volume34
Early online date13 Sept 2019
DOIs
Publication statusPublished - May 2020

Keywords

  • Cross-listing
  • Depositary receipt
  • Market reaction
  • Timing
  • Event study

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